Pricing
Model
Split's pricer values each band as a Black-Scholes call spread, C(K) − C(K + W), averaged over a jump-diffusion spot distribution.
| Input | Source |
|---|---|
| Spot | The Chainlink feed the market settles on. If it is more than 15 minutes old, a reference price (Coinbase for BTC and ETH). |
| Vol | Measured realized vol times a per-market markup |
| Jumps | Per market. Default jump size 0.08, 8 per year. |
| Time | To the band's maturity |
| Rate | 0 |
Mid is clamped so neither leg is quoted below 0.5% of W, and no leg is ever valued above W.
Quotes
- One quote per band carries an Up ask and an Up bid. Down prices are derived on chain from the width.
- Default spread is 150 bps around mid, set per market. The spread is the only charge on Split; the protocol fee is 0.
- Quotes are EIP-712 signed by the pricer and expire after 180 seconds.
- The pricer stops quoting if the feed and the reference differ by more than 2%, or if the pool has less than $1 of capacity.
Every quote includes its inputs, so the price can be reproduced.
Example
Band 84,000 to 84,600, W = 600. Model mid for Up is 118.50.
| Up | Down | |
|---|---|---|
| Ask | 118.50 × 1.0075 = 119.39 | 600 − 117.61 = 482.39 |
| Bid | 118.50 × 0.9925 = 117.61 | 600 − 119.39 = 480.61 |
| Multiple | 5.03× | 1.24× |
A $10 stake on Up buys 10 ÷ 119.39 = 0.0838 units, which pay at most 0.0838 × 600 = $50.25.
Marks
Positions are marked at the bid: what Cash out pays now. A new position shows a small loss immediately; that is the spread.
Strikes
Each round has 8 contiguous bands centred on spot. Total width scales with spot × vol × √time, so a calm day gets a tighter ladder than a volatile one. Bands are narrowest in the centre.
Other venues
Paradex and Derive prices come from those venues: book, mark, or a maker's RFQ quote. See Routing across venues.